public static double[,] optionprice(double S0, double K, double vol, double T, int N, double r, double del, bool type, bool optiontype)
{
double[,] intrinsic = IntriValues.intrinsicvalues(S0, K, vol, T, N, r, del, type, optiontype);
double[,] Option = new double[N + 1, 2 * N + 1];
double[,] american = American.amer(S0, K, vol, T, N, r, del, type, optiontype);
if (optiontype)//European: Option price is the same as intrinstic prices
{
for (int i = 0; i < intrinsic.GetLength(0); i++)
{
for (int j = 0; j < intrinsic.GetLength(1); j++)
{
Option[i, j] = intrinsic[i, j];
}
}
}
else//American: Option price is the same as american prices
{
for (int i = 0; i < intrinsic.GetLength(0); i++)
{
for (int j = 0; j < intrinsic.GetLength(1); j++)
{
Option[i, j] = american[i, j];
}
}
}
return(Option);
}
public static double[,] amer(double S0, double K, double vol, double T, int N, double r, double del, bool type, bool optiontype)
{
double[,] intrinsic = IntriValues.intrinsicvalues(S0, K, vol, T, N, r, del, type, optiontype);
double[,] american = new double[N + 1, 2 * N + 1];
//the probabilities using during the discount process
double pu = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[4];
double pm = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[5];
double pd = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[6];
double disc = GetValues.getvalues(S0, K, vol, T, N, r, del, type, optiontype)[7];
//use the same price as intrinstic price in the last row
for (int j = 0; j < intrinsic.GetLength(1); j++)
{
int i = intrinsic.GetLength(0) - 1;
american[i, j] = intrinsic[i, j];
}
// Option price is the larger one of intrinstic prices and discounted prices
double[,] underlyvalues = UnderlyingValues.underlyingvalues(S0, K, vol, T, N, r, del, type, optiontype);
for (int i = intrinsic.GetLength(0) - 2; i >= 0; i--)
{
for (int j = N - i; j <= N + i; j++)
{
american[i, j] = disc * (pu * american[i + 1, j + 1] + pm * american[i + 1, j] + pd * american[i + 1, j - 1]);
if (type)//call
{
american[i, j] = Math.Max(underlyvalues[i, j] - K, american[i, j]);
}
else//put
{
american[i, j] = Math.Max(K - underlyvalues[i, j], american[i, j]);
}
}
}
return(american);
}